garchcount.m

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function nParameters = garchcount(Coefficients)
%GARCHCOUNT Count GARCH estimation coefficients.
%   Given a GARCH Toolbox specification structure containing coefficient
%   estimates and equality constraint information, count and return the 
%   number of estimated coefficients. This function is a helper utility
%   designed to support the GARCH Toolbox model selection function AICBIC.
%
%   NumParams = garchcount(Coeff)
%
% Input:
%   Coeff - GARCH Toolbox specification structure containing the estimated 
%     coefficients and equality constraints. Coeff is an output of the 
%     estimation function GARCHFIT. Type "help garchfit" for details.
%
% Output:
%   NumParams - Number of estimated parameters. NumParams is defined as the 
%     number of parameters (i.e., coefficients) included in the conditional 
%     mean and variance specifications, less any parameters held constant, 
%     as equality constraints, during the estimation. NumParams is needed 
%     for calculating the AIC/BIC statistics. Type "help aicbic" for details.
%
% See also GARCHFIT, AICBIC, GARCHDISP.

% Copyright 1999-2002 The MathWorks, Inc.   
% $Revision: 1.5 $   $ Date: 1998/01/30 13:45:34 $

if ~isstruct(Coefficients)
   error(' ''Coeff'' must be a structure.')
end

%
% Extract model orders.
%

R   =  garchget(Coefficients , 'R');               % Conditional mean AR order.
M   =  garchget(Coefficients , 'M');               % Conditional mean MA order.
P   =  garchget(Coefficients , 'P');               % Conditional variance order for lagged variances.
Q   =  garchget(Coefficients , 'Q');               % Conditional variance order for lagged squared residuals.
nX  =  length(garchget(Coefficients , 'Regress')); % Number of regressors.

%
% Extract equality constraint information for coefficients.
%

FixC       =  garchget(Coefficients , 'FixC');
FixAR      =  garchget(Coefficients , 'FixAR');
FixMA      =  garchget(Coefficients , 'FixMA');
FixRegress =  garchget(Coefficients , 'FixRegress');
FixK       =  garchget(Coefficients , 'FixK');
FixGARCH   =  garchget(Coefficients , 'FixGARCH');
FixARCH    =  garchget(Coefficients , 'FixARCH');

if isempty(FixC)       , FixC       = 0;           end
if isempty(FixAR)      , FixAR      = zeros(R,1);  end
if isempty(FixMA)      , FixMA      = zeros(M,1);  end
if isempty(FixRegress) , FixRegress = zeros(nX,1); end
if isempty(FixK)       , FixK       = 0;           end
if isempty(FixGARCH)   , FixGARCH   = zeros(P,1);  end
if isempty(FixARCH)    , FixARCH    = zeros(Q,1);  end

Fix  = [FixC ; FixAR(:) ; FixMA(:) ; FixRegress(:) ; FixK ; FixGARCH(:) ; FixARCH(:)];

nParameters  = (1 + R + M + nX + 1 + P + Q) - sum(Fix);